I'm using Stat 14 with Windows 10 OS.
I have a time series of quarterly interest rates and I want to test for multiples structural breaks. This is a pick of my data.
I used estat sbsingle after a regression of cdi on qdate and found the first break.
My strategy now (and I'm not sure is a good one) is to subsample at the first break and search for next. Them, repeat the procedure and find out all the breaks on my data.
I just cannot figure it out how to subsample this data because the code below is not working
I have two questions:
1 - Is my strategy going to work or I'm going to have problems when my time series get too small?
2 - How can I subsample my data?
I have a time series of quarterly interest rates and I want to test for multiples structural breaks. This is a pick of my data.
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float qdate double cdi 147 5.53835376418963 148 5.110168946328697 149 4.904248162223812 150 4.842220311138767 151 7.7677113279510435 152 7.191920800029394 153 5.000530578295859 154 5.764639419446271 155 8.086881665616463 156 8.010016000020027 157 5.98441457235761 end format %tq qdate
Code:
regress cdi qdate estat sbsingle ----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5 .................................................. 50 .............. Test for a structural break: Unknown break date Number of obs = 94 Full sample: 1994q4 - 2018q1 Trimmed sample: 1998q3 - 2014q3 Estimated break date: 1998q3 Ho: No structural break Test Statistic p-value ----------------------------------------------- swald 87.2448 0.0000 ----------------------------------------------- Exogenous variables: qdate Coefficients included in test: qdate _cons
I just cannot figure it out how to subsample this data because the code below is not working
Code:
drop if qdate <= 1998q3
1 - Is my strategy going to work or I'm going to have problems when my time series get too small?
2 - How can I subsample my data?